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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019

Persistent link: https://www.econbiz.de/10012124936

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020

Persistent link: https://www.econbiz.de/10012300973

Market maker inventory, bid-ask spreads, and the computation of option implied risk measures

Eraker, Bjørn; Osterrieder, Daniela - In: Journal of financial econometrics 21 (2023) 5, pp. 1820-1851

Persistent link: https://www.econbiz.de/10014444758

The performance of model based option trading strategies

Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009729949

Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios

Bueno-Guerrero, Alberto - 2017

We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...

Persistent link: https://www.econbiz.de/10012960764